Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0818 |
| Annualized Std Dev | 0.3007 |
| Annualized Sharpe (Rf=0%) | 0.2721 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3057.0000 |
| NAs | 1.0000 |
| Minimum | -0.1334 |
| Quartile 1 | -0.0090 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0099 |
| Maximum | 0.1338 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0004 |
| Stdev | 0.0189 |
| Skewness | -0.0284 |
| Kurtosis | 5.5182 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0134 |
| Gain Deviation | 0.0136 |
| Loss Deviation | 0.0135 |
| Downside Deviation (MAR=210%) | 0.0179 |
| Downside Deviation (Rf=0%) | 0.0131 |
| Downside Deviation (0%) | 0.0131 |
| Maximum Drawdown | 0.6946 |
| Historical VaR (95%) | -0.0285 |
| Historical ES (95%) | -0.0439 |
| Modified VaR (95%) | -0.0287 |
| Modified ES (95%) | -0.0452 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-08-02 | 2020-03-23 | NA | -0.6946 | 2425 | 2174 | NA |
| 2010-05-04 | 2010-05-25 | 2010-07-13 | -0.1898 | 49 | 16 | 33 |
| 2010-11-11 | 2011-01-21 | 2011-04-20 | -0.1844 | 111 | 49 | 62 |
| 2009-01-30 | 2009-03-02 | 2009-03-23 | -0.1809 | 35 | 21 | 14 |
| 2009-06-08 | 2009-06-23 | 2009-07-20 | -0.1615 | 30 | 12 | 18 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -6.3 | -0.1 | 3.2 | 1.9 | 9 | 2.6 | 2.5 | -1.3 | -0.8 | -4 | 1.8 | -0.5 | 7.3 |
| 2010 | 1.2 | 1.1 | 3.2 | -0.8 | -0.6 | 0.4 | 0.6 | 3.8 | 1.6 | 0 | 4.6 | 0.6 | 16.7 |
| 2011 | 2.9 | -1 | 1.5 | 1.5 | -1.2 | 2.2 | 1.2 | 0 | -5.4 | -3.5 | -0.4 | 0.1 | -2.5 |
| 2012 | 2.3 | 0.2 | 1.6 | 0.9 | -1.5 | 4.3 | -0.7 | 1.7 | 0.3 | 1 | -0.9 | 1.3 | 10.9 |
| 2013 | 2.1 | 0.9 | -1.3 | -1.1 | -3.4 | -0.1 | 1.7 | 2.7 | 4.8 | -1.7 | -0.6 | 1.5 | 5.5 |
| 2014 | -0.3 | -1 | 2.8 | 0.7 | -3.3 | 0.7 | 1 | -0.8 | -1.2 | 0.8 | -0.2 | 0.1 | -0.8 |
| 2015 | -2.8 | -1 | 0.4 | 0.6 | -1.2 | 0 | 2.3 | -2.8 | -0.2 | -0.5 | 2.8 | -0.1 | -2.7 |
| 2016 | -0.5 | 2 | 0.7 | -0.7 | 0.1 | -0.1 | 1.3 | -0.7 | -0.5 | -1.3 | 0.2 | -1.2 | -0.8 |
| 2017 | 0 | 0.4 | -0.5 | 0.2 | 1.2 | 0 | 0 | 0.6 | 1.4 | 0.6 | -0.3 | 0.5 | 4.1 |
| 2018 | -1.1 | -0.3 | 1.9 | -1.2 | 1 | 3 | 1.9 | 0.2 | -0.5 | 3.3 | -1.6 | -0.1 | 6.6 |
| 2019 | -0.7 | 0.4 | 0.9 | -0.9 | 3.3 | 1.8 | -1.7 | 0.7 | -0.9 | 1.4 | -1.1 | 0.5 | 3.4 |
| 2020 | -3.3 | -0.5 | -6.5 | -4.3 | 3.2 | 1.1 | -0.2 | 0.5 | 2.3 | -1 | 2.5 | 0.2 | -6.2 |
| 2021 | 4.5 | 3.5 | 2.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 10.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-01-20 7.88 SPY 80.6 -0.0528 -0.0734 -0.114 -0.136 -0.390 -0.370 -0.295 GLD 84.5 0.0219 0.0466
2 2009-01-22 8.02 SPY 82.8 -0.0155 -0.0192 -0.0617 -0.137 -0.382 -0.343 -0.281 GLD 84.6 0.0051 0.06
3 2009-01-23 8.28 SPY 83.1 0.0044 -0.0153 -0.0454 -0.0831 -0.384 -0.343 -0.276 GLD 88.5 0.0467 0.101
4 2009-01-26 8.49 SPY 83.7 0.0069 -0.0162 -0.0288 -0.0874 -0.371 -0.339 -0.269 GLD 89.0 0.0047 0.0754
5 2009-01-30 7.96 SPY 82.8 -0.0203 -0.0034 -0.069 -0.110 -0.397 -0.355 -0.270 GLD 91.3 0.0202 0.0314
6 2009-02-02 7.76 SPY 82.6 -0.003 -0.0131 -0.0849 -0.142 -0.408 -0.352 -0.272 GLD 88.8 -0.0271 -0.00120
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
